Basel II und internes Rating : ökonomische Analyse der Regelungen zur Kreditvergabe an Unternehmen der neuen Baseler Eigenkapitalvereinbarung in der Version vom Januar 2001

The main difference between the New Basel Capital Accord („Basel II”) and the currently valid regulation is that the amount of equity capital that a bank has to allocate to company loans in Basel II is determined by the riskiness of the individual company loans. The risk information is either provided by external credit assessment agencies („Standard Approach”) or by the bank itself („Internal-Ratings-Based (IRB-) Approach”). The economic literature has not yet analyzed the effects of this regime for the investment incentives of banks in rating systems and the resulting welfare consequences. This is the reason why the dissertation focuses on the following questions: 1. Which incentives for investments in rating systems are set by Basel II ? 2. What are the welfare consequences from opportunistic behavior of banks who choose to apply the IRB-Approach ? 3. Which welfare differences result from the application of two different credit rating regimes ? 4. Do banks invest too little or too much in rating systems from a welfare standpoint of view ? The main result of the paper is that the IRB-Approach does not maximize the welfare in all cases. The reason is that banks with modern risk assessment systems have an incentive to use their private information to increase the risk of their portfolios. This opportunistic behavior leads to higher negative external effects. It works therefore contrary to the positive external effects that result from the increased credit risk quantification abilities of IRB-banks. The economic model that focuses on this trade-off shows that the banking regulator prefers for markets with a high proportion of defaulting loans banks which apply the IRB-Approach. In „safer” markets with a low proportion of defaults, banks which use the standard approach are preferred as they do not have private information. If the financing through banks creates large positive externalities, IRB-banks perform better than the banks with the Standard Approach. In what investments in rating systems are concerned, the model shows that over- as well as underinvestment is possible. The opportunistic behavior of the IRB-banks is the reason why the IRB-Approach is not preferable in all cases. If the regulator cannot eliminate opportunistic behavior the goals of Basel II are endangered. The reason is that the instrument of capital standards itself is not sufficient to make the IRB-Approach preferable in all cases as it cannot compensate opportunistic behavior entirely. This means that the implementation of Basel II can have disadvantages even before considering implementation costs